330.238 Risk Model Management
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2019S, VU, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VU Lecture and Exercise

Aim of course

We develop a comprehensive model management approach for general risk models building on the fundamentals of cybernetic management processes. This process is consistently applied to the model-life-cycle of prototypical risk models in the field of credit and market risk. We elaborate in detail on the construction, calibration, and validation of these models.

Subject of course

- Risk modelling
- Model risk
- Risk model management (RMM)
- RMM of univariate credit risk models
- RMM of market risk portfolio models
- RMM of credit risk portfolio models

Lecturers

  • Lederer, Thomas

Institute

Course dates

DayTimeDateLocationDescription
Mon14:00 - 19:0001.04.2019Theresianumgasse HS 1 - MWB Block 1
Fri14:00 - 19:0005.04.2019Theresianumgasse HS 1 - MWB Block 2
Fri14:00 - 19:0012.04.2019Theresianumgasse HS 1 - MWB Block 3
Fri14:00 - 19:0003.05.2019Theresianumgasse HS 1 - MWB Block 4
Fri14:00 - 19:0010.05.2019Theresianumgasse HS 1 - MWB Block 5
Fri14:00 - 19:0017.05.2019Theresianumgasse HS 1 - MWB Block 6
Fri17:00 - 18:0021.06.2019Theresianumgasse HS 2 Exam (alternative date)

Examination modalities

- Classroom exams
- Group homework assignments

Course registration

Begin End Deregistration end
21.01.2019 00:00 29.03.2019 12:00 29.03.2019 12:00

Curricula

Study CodeObligationSemesterPrecon.Info
066 482 Mechanical Engineering - Management Mandatory elective
066 926 Business Informatics Mandatory elective
066 937 Software Engineering & Internet Computing Mandatory elective

Literature

No lecture notes are available.

Language

English